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The jump component of S&P 500 volatility and the VIX index
13 references·16 citing·36 second hop
The jump component of S&P 500 volatility and the VIX index (2008)The jump component of S&P 500 volatility …Evaluation of Economic Forecasts (2016)Evaluation of Economic Foreca…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models (2004)Forecasting currency volatili…Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…The relation between implied and realized volatility (1998)The relation between implied …The quality of market volatility forecasts implied by S&P 100 index option prices (1998)The quality of market volatil…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection (2020)Predicting the long-term stoc…Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? (2020)Does COVID-19 open a Pandora'…Modeling and predicting oil VIX: Internet search volume versus traditional mariables (2017)Modeling and predicting oil V…Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach (2016)Sovereign CDS spread determin…On asymmetric relationship of India volatility index (India VIX) with stock market return and risk management (2015)On asymmetric relationship of…Model-Free Volatility Indexes in the Financial Literature: A Review (2013)Model-Free Volatility Indexes…Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks (2013)Intraday liquidity dynamics a…The Term Structure of VIX (2012)The Term Structure of VIXThe “forward premium puzzle” and the sovereign default risk (2012)The “forward premium puzzle” …The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index (2011)The information content of th…Exchange rate volatility across financial crises (2011)Exchange rate volatility acro…Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks? (2010)Market discipline of banks: W…The predictive power of the implied volatility of options traded OTC and on exchanges (2009)The predictive power of the i…The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks (2009)The information content of im…Forecasting volatility with support vector machine‐based GARCH model (2009)Forecasting volatility with s…Bond risk premia and realized jump risk (2009)Bond risk premia and realized…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Momentum crashes (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Realized Variance and Market Microstructure Noise (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Stochastic Integration and Differential Equations (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)ARCH modeling in finance (1992)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)A multiple indicators model for volatility using intra-daily data (2005)Comparing Predictive Accuracy (1994)Realized Volatility: A Review (2008)The Volatility of Realized Volatility (2008)Parametric and Nonparametric Volatility Measurement (2010)Model Specification and Risk Premia: Evidence from Futures Options (2007)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Numerical solution of stochastic differential equations (2016)Finance and Economics Discussion Series (2022)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
  • 2016Evaluation of Economic Forecasts529 cited
  • 1998The quality of market volatility forecasts implied by S&P 100 index option prices476 cited
  • 2004Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models296 cited

Cited by

  • 2020

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Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?
132 cited
  • 2010Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?128 cited
  • 2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection126 cited
  • 2011Exchange rate volatility across financial crises120 cited
  • 2009Bond risk premia and realized jump risk115 cited
  • 2009The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks111 cited
  • 2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks93 cited
  • 2016Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach91 cited
  • 2009Forecasting volatility with support vector machine‐based GARCH model87 cited
  • 2012The Term Structure of VIX68 cited
  • 2013Model-Free Volatility Indexes in the Financial Literature: A Review67 cited
  • 2009The predictive power of the implied volatility of options traded OTC and on exchanges65 cited
  • 2015On asymmetric relationship of India volatility index (India VIX) with stock market return and risk management61 cited
  • 2012The “forward premium puzzle” and the sovereign default risk61 cited
  • 2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables56 cited
  • 2011The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index54 cited